This paper investigates liquidity timing behaviour of hedge funds that invest globally in
foreign investment assets. We expect these hedge funds to manage currencies exposure …

The authors of this book examine the rationale for investing in currency. They highlight
several features of currency returns that make currency an attractive asset class for …

Hedge funds offer attractive investment possibilities because they engage in investment
styles and opportunity sets which–because they are different from traditional asset class …

One traditional measure of investment performance, the information ratio (IR), is defined as
the active return (alpha) divided by the tracking error (the standard deviation of the active …

Institutional investor portfolios typically hold a significant allocation of foreign currency
denominated assets. Very often at least some of this currency exposure has been viewed as …

The practice of forecasting is fraught with difficulty: history is replete with examples of wild-ly
inaccurate predictions. Nevertheless, attempts to guess future events as accurately as …

This article is focused on analyzing active returns of CTA programs in comparison to their
benchmark. The aim of this article is to identify factors affecting these active returns using …

Institutional Advisory Group: Currency Management Series Common Theme, Uncommon Asset
Class – The Currency Risk Premium Page 1 1 The Currency Risk Premium | CIBCG LOBAL …